Enhanced Broadcast Solution - New Optional Socket-based Interface for Unnetted Real-time Market Data

The Enhanced Broadcast Solution offers an innovative high-performance market data broadcast mechanism for un-netted public market data. The Enhanced Broadcast Solution will initially be provided in parallel to the existing "New Socket Data Feed" originally introduced in December 2006. In this way members will have the opportunity to migrate to the new interface over a period of time. In future the dissemination of un-netted public market data will exclusively be provided by the Enhanced Broadcast Solution and the support for the current "New Socket Data Feed" will be withdrawn. Eurex will provide more information concerning the withdrawal of support for the "New Socket Data Feed" at a later date by means of a separate circular.

Similar to the existing "New Socket Data Feed" the Enhanced Broadcast Solution will also be provided as an optional service for un-netted public market data distribution. Distribution of netted price information via the existing MISS Architecture (Public Inside Market Broadcast) using the VALUES API (Virtual Access Link Using Exchange Services Application Programming Interface) connection will remain unchanged. Transaction data and Private Broadcast data will continue to be transmitted by means of this connection as before.

As a result of the fundamental change in the design concept between the "New Socket Data Feed" and Enhanced Broadcast Solution, existing applications will have to be adapted to use the new interface.

The socket-based Enhanced Broadcast Solution features the following functional aspects:

• Order Book Depth for Options
  Currently only the best bid and best ask prices are broadcasted for options. The Enhanced Broadcast Solution will be able to distribute additional order book depth for options products.
  
  
• Enhanced Order Book Depth for Futures
  Currently no more than ten price levels are maintained for selected futures products. The Enhanced Broadcast Solution will be able to provide the extended order book depth for all futures products.
  
  
• Granular Subscription Model
  Products will be grouped into product groups or "streams" (e.g. German Stock Options, Swiss Stock Options etc.) whereby individual products may occur in more than one product group. Unlike the existing "New Socket Data Feed" where members receive all data, the Enhanced Broadcast Solution will allow members to subscribe just to those product groups and the level of data which best meet their individual requirements.
  
  
• Flexible Configuration
  The setup of the Enhanced Broadcast Solution is flexible and can be easily configured according to changing market requirements. Eurex will be able to modify the following product, product group and configuration parameters on a daily basis:
  • Addition of new product groups and association of products to product groups
  • Market depth provided per product
  • Number of market depth streams including the depth associated with them (e.g. 1; 2-10; 11-20)
  • Multicast addresses of the individual streams
  • The interval at which the snapshot broadcast is published
    
  The additional flexibility provided by the Enhanced Broadcast Solution requires that member's in-house applications will also be capable of handling short-term configuration changes.
  
  

Eurex circular 115/2007 (PDF) supplies further information about the Enhanced Broadcast Solution. This circular includes detailed functional and technical description, as well as a price list.